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Author

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R Software Module

rwasp_autocorrelation.wasp

Title produced by software

(Partial) Autocorrelation Function

Date of computation

Tue, 16 Dec 2008 11:42:47 -0700

Cite this page as follows

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?v=date/2008/Dec/16/t1229453021sbg82fsavfasqzz.htm/, Retrieved Thu, 16 May 2024 02:49:31 +0000

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL https://freestatistics.org/blog/index.php?pk=34097, Retrieved Thu, 16 May 2024 02:49:31 +0000

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No (this computation is public)

User-defined keywords

Estimated Impact

168

Family? (F = Feedback message, R = changed R code, M = changed R Module, P = changed Parameters, D = changed Data)

-       [(Partial) Autocorrelation Function] [Paper ACF stationair] [2008-12-16 18:42:47] [c5d6d05aee6be5527ac4a30a8c3b8fe5] [Current]
-   P     [(Partial) Autocorrelation Function] [paper ACF 11] [2008-12-24 12:59:25] [7849b5cbaea5f05923be73656f726e58] 
-   P     [(Partial) Autocorrelation Function] [Paper acf 10] [2008-12-24 13:09:59] [7849b5cbaea5f05923be73656f726e58] 

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Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

\begin{tabular}{lllllllll}
\hline
Summary of computational transaction \tabularnewline
Raw Input & view raw input (R code)  \tabularnewline
Raw Output & view raw output of R engine  \tabularnewline
Computing time & 4 seconds \tabularnewline
R Server & 'Herman Ole Andreas Wold' @ 193.190.124.10:1001 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=34097&T=0

[TABLE]
[ROW][C]Summary of computational transaction[/C][/ROW]
[ROW][C]Raw Input[/C][C]view raw input (R code) [/C][/ROW]
[ROW][C]Raw Output[/C][C]view raw output of R engine [/C][/ROW]
[ROW][C]Computing time[/C][C]4 seconds[/C][/ROW]
[ROW][C]R Server[/C][C]'Herman Ole Andreas Wold' @ 193.190.124.10:1001[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=34097&T=0

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=34097&T=0

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	4 seconds
R Server	'Herman Ole Andreas Wold' @ 193.190.124.10:1001

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.01518	-0.0885	0.464995
2	-0.01213	-0.0707	0.472014
3	-0.429404	-2.5038	0.008624
4	-0.012997	-0.0758	0.470016
5	-0.013431	-0.0783	0.469018
6	-0.013865	-0.0808	0.46802
7	-0.014298	-0.0834	0.467022
8	-0.014732	-0.0859	0.466024
9	0.150383	0.8769	0.193353
10	-0.026049	-0.1519	0.440085
11	-0.026483	-0.1544	0.439095
12	-0.080489	-0.4693	0.320916
13	-0.01005	-0.0586	0.476806
14	-0.006072	-0.0354	0.485982
15	-0.006506	-0.0379	0.484981
16	-0.006939	-0.0405	0.483981

\begin{tabular}{lllllllll}
\hline
Autocorrelation Function \tabularnewline
Time lag k & ACF(k) & T-STAT & P-value \tabularnewline
1 & -0.01518 & -0.0885 & 0.464995 \tabularnewline
2 & -0.01213 & -0.0707 & 0.472014 \tabularnewline
3 & -0.429404 & -2.5038 & 0.008624 \tabularnewline
4 & -0.012997 & -0.0758 & 0.470016 \tabularnewline
5 & -0.013431 & -0.0783 & 0.469018 \tabularnewline
6 & -0.013865 & -0.0808 & 0.46802 \tabularnewline
7 & -0.014298 & -0.0834 & 0.467022 \tabularnewline
8 & -0.014732 & -0.0859 & 0.466024 \tabularnewline
9 & 0.150383 & 0.8769 & 0.193353 \tabularnewline
10 & -0.026049 & -0.1519 & 0.440085 \tabularnewline
11 & -0.026483 & -0.1544 & 0.439095 \tabularnewline
12 & -0.080489 & -0.4693 & 0.320916 \tabularnewline
13 & -0.01005 & -0.0586 & 0.476806 \tabularnewline
14 & -0.006072 & -0.0354 & 0.485982 \tabularnewline
15 & -0.006506 & -0.0379 & 0.484981 \tabularnewline
16 & -0.006939 & -0.0405 & 0.483981 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=34097&T=1

[TABLE]
[ROW][C]Autocorrelation Function[/C][/ROW]
[ROW][C]Time lag k[/C][C]ACF(k)[/C][C]T-STAT[/C][C]P-value[/C][/ROW]
[ROW][C]1[/C][C]-0.01518[/C][C]-0.0885[/C][C]0.464995[/C][/ROW]
[ROW][C]2[/C][C]-0.01213[/C][C]-0.0707[/C][C]0.472014[/C][/ROW]
[ROW][C]3[/C][C]-0.429404[/C][C]-2.5038[/C][C]0.008624[/C][/ROW]
[ROW][C]4[/C][C]-0.012997[/C][C]-0.0758[/C][C]0.470016[/C][/ROW]
[ROW][C]5[/C][C]-0.013431[/C][C]-0.0783[/C][C]0.469018[/C][/ROW]
[ROW][C]6[/C][C]-0.013865[/C][C]-0.0808[/C][C]0.46802[/C][/ROW]
[ROW][C]7[/C][C]-0.014298[/C][C]-0.0834[/C][C]0.467022[/C][/ROW]
[ROW][C]8[/C][C]-0.014732[/C][C]-0.0859[/C][C]0.466024[/C][/ROW]
[ROW][C]9[/C][C]0.150383[/C][C]0.8769[/C][C]0.193353[/C][/ROW]
[ROW][C]10[/C][C]-0.026049[/C][C]-0.1519[/C][C]0.440085[/C][/ROW]
[ROW][C]11[/C][C]-0.026483[/C][C]-0.1544[/C][C]0.439095[/C][/ROW]
[ROW][C]12[/C][C]-0.080489[/C][C]-0.4693[/C][C]0.320916[/C][/ROW]
[ROW][C]13[/C][C]-0.01005[/C][C]-0.0586[/C][C]0.476806[/C][/ROW]
[ROW][C]14[/C][C]-0.006072[/C][C]-0.0354[/C][C]0.485982[/C][/ROW]
[ROW][C]15[/C][C]-0.006506[/C][C]-0.0379[/C][C]0.484981[/C][/ROW]
[ROW][C]16[/C][C]-0.006939[/C][C]-0.0405[/C][C]0.483981[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=34097&T=1

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=34097&T=1

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.01518	-0.0885	0.464995
2	-0.01213	-0.0707	0.472014
3	-0.429404	-2.5038	0.008624
4	-0.012997	-0.0758	0.470016
5	-0.013431	-0.0783	0.469018
6	-0.013865	-0.0808	0.46802
7	-0.014298	-0.0834	0.467022
8	-0.014732	-0.0859	0.466024
9	0.150383	0.8769	0.193353
10	-0.026049	-0.1519	0.440085
11	-0.026483	-0.1544	0.439095
12	-0.080489	-0.4693	0.320916
13	-0.01005	-0.0586	0.476806
14	-0.006072	-0.0354	0.485982
15	-0.006506	-0.0379	0.484981
16	-0.006939	-0.0405	0.483981

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.01518	-0.0885	0.464995
2	-0.012363	-0.0721	0.471477
3	-0.429942	-2.507	0.00856
4	-0.035142	-0.2049	0.419432
5	-0.034511	-0.2012	0.420859
6	-0.247271	-1.4418	0.07925
7	-0.060372	-0.352	0.363496
8	-0.06356	-0.3706	0.356612
9	0.037627	0.2194	0.413824
10	-0.075584	-0.4407	0.3311
11	-0.082869	-0.4832	0.316023
12	-0.002262	-0.0132	0.494777
13	-0.078515	-0.4578	0.324998
14	-0.081196	-0.4734	0.31946
15	-0.045984	-0.2681	0.395109
16	-0.076841	-0.4481	0.328477

\begin{tabular}{lllllllll}
\hline
Partial Autocorrelation Function \tabularnewline
Time lag k & PACF(k) & T-STAT & P-value \tabularnewline
1 & -0.01518 & -0.0885 & 0.464995 \tabularnewline
2 & -0.012363 & -0.0721 & 0.471477 \tabularnewline
3 & -0.429942 & -2.507 & 0.00856 \tabularnewline
4 & -0.035142 & -0.2049 & 0.419432 \tabularnewline
5 & -0.034511 & -0.2012 & 0.420859 \tabularnewline
6 & -0.247271 & -1.4418 & 0.07925 \tabularnewline
7 & -0.060372 & -0.352 & 0.363496 \tabularnewline
8 & -0.06356 & -0.3706 & 0.356612 \tabularnewline
9 & 0.037627 & 0.2194 & 0.413824 \tabularnewline
10 & -0.075584 & -0.4407 & 0.3311 \tabularnewline
11 & -0.082869 & -0.4832 & 0.316023 \tabularnewline
12 & -0.002262 & -0.0132 & 0.494777 \tabularnewline
13 & -0.078515 & -0.4578 & 0.324998 \tabularnewline
14 & -0.081196 & -0.4734 & 0.31946 \tabularnewline
15 & -0.045984 & -0.2681 & 0.395109 \tabularnewline
16 & -0.076841 & -0.4481 & 0.328477 \tabularnewline
\hline
\end{tabular}
%Source: https://freestatistics.org/blog/index.php?pk=34097&T=2

[TABLE]
[ROW][C]Partial Autocorrelation Function[/C][/ROW]
[ROW][C]Time lag k[/C][C]PACF(k)[/C][C]T-STAT[/C][C]P-value[/C][/ROW]
[ROW][C]1[/C][C]-0.01518[/C][C]-0.0885[/C][C]0.464995[/C][/ROW]
[ROW][C]2[/C][C]-0.012363[/C][C]-0.0721[/C][C]0.471477[/C][/ROW]
[ROW][C]3[/C][C]-0.429942[/C][C]-2.507[/C][C]0.00856[/C][/ROW]
[ROW][C]4[/C][C]-0.035142[/C][C]-0.2049[/C][C]0.419432[/C][/ROW]
[ROW][C]5[/C][C]-0.034511[/C][C]-0.2012[/C][C]0.420859[/C][/ROW]
[ROW][C]6[/C][C]-0.247271[/C][C]-1.4418[/C][C]0.07925[/C][/ROW]
[ROW][C]7[/C][C]-0.060372[/C][C]-0.352[/C][C]0.363496[/C][/ROW]
[ROW][C]8[/C][C]-0.06356[/C][C]-0.3706[/C][C]0.356612[/C][/ROW]
[ROW][C]9[/C][C]0.037627[/C][C]0.2194[/C][C]0.413824[/C][/ROW]
[ROW][C]10[/C][C]-0.075584[/C][C]-0.4407[/C][C]0.3311[/C][/ROW]
[ROW][C]11[/C][C]-0.082869[/C][C]-0.4832[/C][C]0.316023[/C][/ROW]
[ROW][C]12[/C][C]-0.002262[/C][C]-0.0132[/C][C]0.494777[/C][/ROW]
[ROW][C]13[/C][C]-0.078515[/C][C]-0.4578[/C][C]0.324998[/C][/ROW]
[ROW][C]14[/C][C]-0.081196[/C][C]-0.4734[/C][C]0.31946[/C][/ROW]
[ROW][C]15[/C][C]-0.045984[/C][C]-0.2681[/C][C]0.395109[/C][/ROW]
[ROW][C]16[/C][C]-0.076841[/C][C]-0.4481[/C][C]0.328477[/C][/ROW]
[/TABLE]
Source: https://freestatistics.org/blog/index.php?pk=34097&T=2

Globally Unique Identifier (entire table): ba.freestatistics.org/blog/index.php?pk=34097&T=2

As an alternative you can also use a QR Code:

The GUIDs for individual cells are displayed in the table below:

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.01518	-0.0885	0.464995
2	-0.012363	-0.0721	0.471477
3	-0.429942	-2.507	0.00856
4	-0.035142	-0.2049	0.419432
5	-0.034511	-0.2012	0.420859
6	-0.247271	-1.4418	0.07925
7	-0.060372	-0.352	0.363496
8	-0.06356	-0.3706	0.356612
9	0.037627	0.2194	0.413824
10	-0.075584	-0.4407	0.3311
11	-0.082869	-0.4832	0.316023
12	-0.002262	-0.0132	0.494777
13	-0.078515	-0.4578	0.324998
14	-0.081196	-0.4734	0.31946
15	-0.045984	-0.2681	0.395109
16	-0.076841	-0.4481	0.328477

Figure 1

PNG link

Postscript link

PDF link

Figure 2

PNG link

Postscript link

PDF link

Parameters (Session):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

Parameters (R input):

par1 = Default ; par2 = 1 ; par3 = 1 ; par4 = 1 ; par5 = 12 ;

R code (references can be found in the software module):

if (par1 == 'Default') {
par1 = 10*log10(length(x))
} else {
par1 <- as.numeric(par1)
}
par2 <- as.numeric(par2)
par3 <- as.numeric(par3)
par4 <- as.numeric(par4)
par5 <- as.numeric(par5)
if (par2 == 0) {
x <- log(x)
} else {
x <- (x ^ par2 - 1) / par2
}
if (par3 > 0) x <- diff(x,lag=1,difference=par3)
if (par4 > 0) x <- diff(x,lag=par5,difference=par4)
bitmap(file='pic1.png')
racf <- acf(x,par1,main='Autocorrelation',xlab='lags',ylab='ACF')
dev.off()
bitmap(file='pic2.png')
rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')
dev.off()
(myacf <- c(racf$acf))
(mypacf <- c(rpacf$acf))
lengthx <- length(x)
sqrtn <- sqrt(lengthx)
load(file='createtable')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 2:(par1+1)) {
a<-table.row.start(a)
a<-table.element(a,i-1,header=TRUE)
a<-table.element(a,round(myacf[i],6))
mytstat <- myacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable.tab')
a<-table.start()
a<-table.row.start(a)
a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)
a<-table.row.end(a)
a<-table.row.start(a)
a<-table.element(a,'Time lag k',header=TRUE)
a<-table.element(a,hyperlink('basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)
a<-table.element(a,'T-STAT',header=TRUE)
a<-table.element(a,'P-value',header=TRUE)
a<-table.row.end(a)
for (i in 1:par1) {
a<-table.row.start(a)
a<-table.element(a,i,header=TRUE)
a<-table.element(a,round(mypacf[i],6))
mytstat <- mypacf[i]*sqrtn
a<-table.element(a,round(mytstat,4))
a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))
a<-table.row.end(a)
}
a<-table.end(a)
table.save(a,file='mytable1.tab')

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Dataset

Tables (Output of Computation)

Figures (Output of Computation)

Input Parameters & R Code